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| Author(s): |
Camila Fernanda Bassetto Sampaio
Total Authors: 1
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| Document type: | Doctoral Thesis |
| Press: | São Carlos. |
| Institution: | Universidade de São Paulo (USP). Escola de Engenharia de São Carlos (EESC/SBD) |
| Defense date: | 2010-11-10 |
| Examining board members: |
Aquiles Elie Guimarães Kalatzis;
Mário de Castro Andrade Filho;
Milton Barossi Filho;
Alex Luiz Ferreira;
Marcelo Seido Nagano
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| Advisor: | Aquiles Elie Guimarães Kalatzis |
| Abstract | |
This study aims to investigate the presence of financial constraints on investment decisions of 564 Brazilian firms in the period 1996 2006. The analysis is performed considering a bayesian approach and a longitudinal data in which informations are varying by firm and time, allowing to consider the heterogeneity between firms. The proposed clustering uses cluster techniques with a bayesian approach and the parameters estimations is carried out considering an econometric model with parameters varying by groups. The motivation for using clustering techniques is due to the fact that it not has been considered in the literature on investment decisions and financial constraints as a criterion for clustering firms. This approach allows identifying endogenously homogeneous groups, different from previous studies, which take a priori clustering criteria and divide the sample in an exogenous way. Prior distributions are assumed for the parameters, classifying the model in fixed effect or random effect model. The ordinate predictive density criterion is used to select the model that provides better prediction of the results. Eight models were tested and the most appropriate was the fixed effect model with two groups in the sample. The clustering techniques with a bayesian approach provided two groups of firms with distinct financial characteristics. According to the results, this bayesian clustering method indicated that firms faced financial constraint in their investment decision. Also, the cash flow variable is a proxy to financial constraint on firms investment decision and it not represents future profitability potential, given that the higher cash flow parameter was obtained for firms with lower profitability index (AU) | |